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/*
Copyright (C) 2000, 2001, 2002 RiskMap srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it under the
terms of the QuantLib license. You should have received a copy of the
license along with this program; if not, please email ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
// $Id: MontecarloTools.i,v 1.13 2002/01/16 14:50:51 nando Exp $
#ifndef quantlib_montecarlo_tools_i
#define quantlib_montecarlo_tools_i
%include QLArray.i
%include Vectors.i
%{
using QuantLib::MonteCarlo::GaussianMultiPathGenerator;
using QuantLib::MonteCarlo::getCovariance;
%}
/*
class GaussianArrayGenerator {
public:
GaussianArrayGenerator(const Array& average,
const Matrix& covariance, long seed=0);
~GaussianArrayGenerator();
Array next() const;
double weight() const;
};
class GaussianMultiPathGenerator {
public:
GaussianMultiPathGenerator(const DoubleVector& timeDelays,
const Matrix& covariance, const Array& average, long seed=0);
~GaussianMultiPathGenerator();
MultiPath next() const;
double weight() const;
};
*/
Matrix getCovariance(const Array &volatilities, const Matrix &correlations);
#endif
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